Application of triangular functions for solving the vasicek model

محورهای موضوعی : History and biography

Z. Sadati ¹ , Kh. Maleknejad ²

1 - Department of Mathematics, Khomein Branch, Islamic Azad University, Khomein, Iran
2 - Department of Mathematics, Khomein Branch, Islamic Azad University, Khomein, Iran

تاریخ دریافت : 1394/03/25 تاریخ پذیرش : 1394/08/27 تاریخ انتشار : 1394/05/10

کلید واژه: collocation method, Triangular functions, Stochastic operational matrix, Vasicek model,

چکیده مقاله :

This paper introduces a numerical method for solving the vasicek model by using a stochastic operational matrix based on the triangular functions (TFs) in combination with the collocation method. The method is stated by using conversion the vasicek model to a stochastic nonlinear system of $2m+2$ equations and$2m+2$ unknowns. Finally, the error analysis and some numerical examples are providedto demonstrate applicability and accuracy ofthis method.

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